An Empirical Analysis Method Of The Dalian Commodities Futures Markets Function

With the popularization of basis pricing in soybeans import trade, and the implementation of replacing delivery warehouses with crushing factories in soymeal delivery, it becomes more and more important for crushers to use price-discovering and hedging function of futures market to offset risks。 On the other hand, price fluctuation in cash market as well as in futures market is escalating day by day。 From the beginning of 2003 to the first half of 2004, prices of soybean and soymeal went through a big fluctuation course and price fluctuation range got beyond RMB1500 yuan per ton, which made domestic crushers experienced a "baptism"。 After experiencing the process of making big profit in 2003 and then facing bankruptcy in 2004, domestic crushers all face an inevitable issue 。 That is how to make use of futures market to elude risks in spot market。There is an old saying, "knowing him knowingly, you can fight a hundred battles with no danger of defeat "。 Therefore, in order to make full use of functions of futures market, it is essential to know well about inherent rules and characteristics of futures market。 The existing researches mainly focus on the theoretical perspectives and lack demonstration research which to some extent could not meet all the demands of development of theories and practices。 This article aims at examining by quantitative analysis tools (Granger conintegration relation test, Casual relation test , GS model and minimum variance risk hedge model) combined with domestic and international soybean and soymeal trade data from the beginning of 2003 to the first half of 2004 to demonstrate the function of price discovery and risk offsetting in Dalian Futures Market。 Since the conclusion is based on limited sample data, it may not be authoritative and can only be used to account for the market situation in a specialized period of time。 However, the purpose of this paper is not to draw a conclusion, but to analyze the trait of futuresmarket with a scientific and careful attitude and help domestic crushers to master effective methods and approaches to utilize futures market for better management。There are four parts in this article。 The first part is summary of domestic futures marketo It concentrated on the development of futures market, the relationship between futures and spot market, commodity futures pricing theory etc。 It also analyzes quality of standard delivery commodity of soybean and soymeal and factors that affect prices。 The second part presents the international popular quantitative model (such as Granger conintegration relation test , Casual relation test , GS model and error corrected model) combined with sample data to indicate price discovery function during sample time. The third part introduces development of hedging theory, and compares properties of different hedging strategies ( including minimum variance risk hedge model, maximum unit risk compensate hedge model and maximum utility hedge model) to demonstrade the most appropriate model to analyze basis risk, and give the best hegding amount and statistical indexes of hedging efficiency and hedging costs under different hedging strategies。 The last part summarizes the conclusion of this paper and points out problems in the article as well as direction for future research.